fix(ibkr): align cash-only sleeve to USD NLV for RRL weights - #511
Merged
Merged
Conversation
SOXL sizes value targets from positions+cash while the risk gate divides by capital_base NetLiquidation. When marks exceed NLV, in-cap 65/20 weights inflate into rejected:runtime_risk_limits. Shrink the cash sleeve to the verified USD NLV and log capability/target context on RRL rejects. Co-authored-by: Cursor <cursoragent@cursor.com>
This file contains hidden or bidirectional Unicode text that may be interpreted or compiled differently than what appears below. To review, open the file in an editor that reveals hidden Unicode characters.
Learn more about bidirectional Unicode characters
Sign up for free
to join this conversation on GitHub.
Already have an account?
Sign in to comment
1 participant
Add this suggestion to a batch that can be applied as a single commit.This suggestion is invalid because no changes were made to the code.Suggestions cannot be applied while the pull request is closed.Suggestions cannot be applied while viewing a subset of changes.Only one suggestion per line can be applied in a batch.Add this suggestion to a batch that can be applied as a single commit.Applying suggestions on deleted lines is not supported.You must change the existing code in this line in order to create a valid suggestion.Outdated suggestions cannot be applied.This suggestion has been applied or marked resolved.Suggestions cannot be applied from pending reviews.Suggestions cannot be applied on multi-line comments.Suggestions cannot be applied while the pull request is queued to merge.Suggestion cannot be applied right now. Please check back later.
Summary
rejected:runtime_risk_limitsfor U159 diagnosis./runremains paused until a clean FORCE dry-run.Test plan
pytesttests/test_ibkr_portfolio.pytests/test_strategy_runtime.py/runonly if dry-run OKMade with Cursor